Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Giles (Oper. Res. 56:607-617, 2008) introduced a multi-level Monte Carlo method for approximating the expected value of a function of a stochastic differential equation solution. A key application is to compute the expected payoff of a financial option. This new method improves on the computational...

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Номзүйн дэлгэрэнгүй
Үндсэн зохиолчид:	Giles, M, Higham, D, Mao, X
Формат:	Journal article
Хэл сонгох:	English
Хэвлэсэн:	2009

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